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Master Thesis of Yanhao Shi

(advisor Martin Maechler, Seminar für Statistik, ETH Zurich)

The Critical Line Algorithm for Portfolio Optimization

Goals of this (private) git repo

  1. R code (versions) maintenance
  2. Packaging into a proper R package, using "public" data only

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Version

Install

install.packages('CLA')

Monthly Downloads

251

Version

0.90-0

License

GPL (>= 3) | file LICENSE

Maintainer

Martin Maechler

Last Published

January 15th, 2018

Functions in CLA (0.90-0)

CLA

Critical Line Algorithm
MS

Means (Mu) and Standard Deviations (Sigma) of the “Turning Points” from CLA
muS.sp500

Return Expectation and Covariance for "FRAPO"s SP500 data
muSigmaGarch

Compute (mu, Sigma) for a Set of Assets via GARCH fit
findMu

Find mu(W) and W, given sigma(W) and CLA result
findSig

Find sigma(W) and W, given mu(W) and CLA result